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daybreak · 2024年02月02日

关于利率表达

  1. CFA II
  2. Derivative

NO.PZ2019010402000059

问题如下：

One months ago, Harveytook a short position in five 10-year Canadian government bond forwardcontracts, with each contract having a contract notional value of 100 millionCAD. when the contracts were purchased, the contracts had a price of CAD 146(quoted as a percentage of par). Now,the contracts have three months left to expiration, and have a price of CAD 148.The annualized three-month interest rate is 0.15%. The value of the forwardcontract is :

选项：

A.

- CAD9,996,500

B.

CAD9,996,500

C.

CAD1,999,300

解释：

A is correct

本题考察的是重新定价法求远期合约的价值。

For the long position:

Vt =PV[Ft -F0 ]=(148-146)/(1+0.0015)90/360 = 1.9993

1.9993/100 * 100,000,000 * 5= CAD9,996,500

本题求解的是short position，因此取负号为 - CAD9,996,500

为什么这边的利率里的时间是在括号外面，而在FRA相关内容中是在括号里面，二者为什么形式不同呢

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1 个答案

pzqa35 · 2024年02月04日

嗨，从没放弃的小努力你好：


在我们衍生中，基于过去的习惯的沿用，对于FRA和swap的定价和估值我们都是按照单利来进行计算的，关于这一点老师在基础课也做过特别的说明哈。



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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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